The invention disclosed herein relates generally to electronic trading of interests involving reserves. More particularly, the invention relates to pricing of orders and quotations (e.g., bids and offers) in an electronic trading or quotation system with reserves where the order or quotation price of a reserve quantity is changed, e.g., stepped up or down, from a prior order.
A trader of interests such as stocks, bonds, commodities or commodities contracts may want to buy or sell such interests without immediately revealing in the relevant market the full extent of his or her intentions. For example, the disclosure to the market of the entire size of a purchase or sale order or quotation could affect the market by skewing the price. In such instances, traders may want to disclose only a portion of the full size of their intended trade to the market, and to withhold disclosing to the market the remaining portion of the intended trade (such withheld portion being known as a “reserve”) until such time as the disclosed portion of the order or quotation has been executed.